Character Rigging in Blender for Unreal Engine
I'm currently playing with this too. 

To get an idea of what you want to do, take the UE4 Mannequin's skeletal mesh and export it to FBX. File should be 853KB.

Import that in blender - on the blender import settings you want 'Z up' and 'Y forward', and on the Armatures tab you want 'Automatic Bone Orientation' ticked.

Then you have a clear look at what's going on with the UE4 mannequin (which has all those premade animations) - it has a root bone in the skeleton etc. From there you can work on changing the model to whatever you want and rerigging the existing armature. Then animation retargeting should work nicely.